Deriscope ## The Excel Derivatives Periscope

##### Coverage

Power_Exchange_Option

*Power Exchange Option* is a child type of MultiAsset Option that represents a combination of a spread and power option.

The payoff is given by:

*max{ λ₁S₁(T)ᵅ¹-λ₂S₂(T)ᵅ² , 0 }*

where

*λ₁, α₁, λ₂, α₂* are all constants and

*S₁(T), S₂(T)* are the prices of two specified underlyings at the option expiry time *T*

The following features are currently not supported:

American exercise, barriers, discrete dividends/storage costs.

European options having this payoff can be priced using *Model[MultiAsset Option]::Pricing Method* = Model[MultiAsset Option]::Pricing Method::BlenmanClark